According to Mongolian Buddhism, a spot in the middle of the Gobi desert is where the strongest spiritual energy in the world converges. To mark the location, the monastery complex was built in the 19th century, Khamriin Khiid.

The original Khamriin Khiid monastery was founded in 1820 by Danzanravjaa, known as the Terrible Noble Saint of the Gobi, who observed the location's tremendous energy. At its peak, the monastery housed up to 500 monks, and included more than 80 temples within the complex. 

Danzanravjaa was a great scholar and practitioner of the arts, as well as a social reformer. He set up a theater at the monastery for people to develop their singing and acting skills, and a public school, which encouraged education for both men and women.

The lively and productive monastery was destroyed in 1937, in the wake of the Communist purge against religions, and Khamriin Khiid in its current form was reconstructed in 1990. Today, hundreds of pilgrims visit the site every day at dawn to benefit from the spiritual energy that is believed to radiate as a new day is born.

Shambala, the centerpiece of the complex, is surrounded by 108 stupas, encircling other holy monuments and temples, the most prominent of which has a large pair of eyes staring at visitors. The enclosed space is said to be warmer due to the energy that emanates from Shambala, and it is not uncommon to see pilgrims taking off their shoes to better absorb the energy.

Another form of worship is the throwing of rice, millet, milk and vodka on monuments. Other visitors walk around singing a song composed for Khamriin Khiid. Outside the enclosure are the series of caves where Danzanravjaa and other monks meditated for 108 days, two huge breast-shaped mounds covered in milk, a wind-activated bell, and the actual monastery.